Hypothesis testing in mixture regression models

Hong‐Tu Zhu and Heping Zhang

Journal of the Royal Statistical Society Series B, 2004, vol. 66, issue 1, 3-16

Abstract: Summary. We establish asymptotic theory for both the maximum likelihood and the maximum modified likelihood estimators in mixture regression models. Moreover, under specific and reasonable conditions, we show that the optimal convergence rate of n−1/4 for estimating the mixing distribution is achievable for both the maximum likelihood and the maximum modified likelihood estimators. We also derive the asymptotic distributions of two log‐likelihood ratio test statistics for testing homogeneity and we propose a resampling procedure for approximating the p‐value. Simulation studies are conducted to investigate the empirical performance of the two test statistics. Finally, two real data sets are analysed to illustrate the application of our theoretical results.

Date: 2004
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https://doi.org/10.1046/j.1369-7412.2003.05379.x

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